I grew up in a cinema family. My parents were brought up on the French New Wave. That was God to them, but to me it was the antichrist, and how better to rebel against your parents than by watching something your mother is going to hate, which were American horror movies. When I saw Texas Chain Saw Massacre, I realized: I don't want to be a director, I don't want to be a writer, I don't want to be a producer, I don't want to be a photographer, I don't want to be an editor, I don't want to be a sound man. I want to be all of them at once. And that film proved that you can do it because that movie is not a normal movie.[7]

Refn later made two sequels to Pusher, Pusher II (2004) (a.k.a. Pusher II: With Blood on My Hands) and Pusher 3 (2005) (a.k.a. Pusher III: I'm The Angel of Death). For Pusher II, lead actor Mads Mikkelsen won a Best Actor award at the 2005 Bodil Awards,[10] Best Actor at the 2005 Robert Festival[11] (where the film was also nominated for Best Director, Best Screenplay and Best Film, among other nominations), and Best Actor at the 2005 Zulu Awards. The film was remade as a British version in 2012, Pusher, directed by Luis Prieto and executive produced by Refn.[9]

In 2009, Refn teamed up again with frequent collaborator Mads Mikkelsen to write and direct Valhalla Rising, a surrealistic period piece about the Viking era. The film won an International Fantasy Film Special Jury Award and Special Mention at the 2010 Fantasporto Festival, and won the Titra Film Award for Refn at the 2010 Neuchatel International Fantastic Film Festival. The film also won a Best Make-Up award at the 2011 Robert Festival.

Liv Corfixen, Refn's wife, directed the documentaryMy Life Directed by Nicolas Winding Refn, centered on the life and work of Refn and their relationship.[16] The documentary film premiered on July 17, 2014 in Denmark.[17]

In September 2011, Refn said his next film would be I Walk with the Dead, with Carey Mulligan slated to play the lead; she was co-star of Drive.[18] According to Refn, it will be a horror-movie sex thriller that may be set in Tokyo or Los Angeles.[19]

In 2013, Refn confirmed I Walk with the Dead as his next project.[20] In October 2013 playwright Polly Stenham was confirmed to write the screenplay with Refn. They stated that the film will have an all-female cast. Refn admitted that he asked Stenham to write the screenplay to compensate for his perceived inability to write female characters.[21]

He directed an extended Gucci commercial featuring Blake Lively and himself in a brief cameo,[25] which premiered at the 2012 Venice Film Festival. The short film is entitled Gucci Premiere. He also directed the music video for his frequent collaborator Peter Peter's band Bleeder, which featured his wife Liv Corfixen as a crazy nurse. He also directed a series of Lincoln commercials starring Matthew McConaughey.

On August 14, 2016, Refn announced via his Twitter page that his next project would be titled The Avenging Silence, calling it "Ian Fleming + William Burroughs + NWR = The Avenging Silence" and posted images for Fleming's novel, Dr. No and for Burroughs's novel The Soft Machine.[26][27] Variety reported that producer Lene Borglum described the purported plot as following: "[A] former European spy [accepts] a mission from a Japanese businessman to take down the head of a Yakuza boss in Japan".[28]

In 2009, Refn expressed high interest in developing a film biopic of notoriously polemic and controversial English occultist, Aleister Crowley, with Bronson star, Tom Hardy, as Crowley. Refn admitted to not knowing anything about the life of the magician and referred to Crowley as a "Satan-worshipping cult personality".[32]

In 2009, Refn was attached to direct a modern retelling of Strange Case of Dr Jekyll and Mr Hyde with Keanu Reeves playing the titular roles. The working title of the film was Jekyll. According to an interview with SciFi Wire, he wanted the film to take place "in modern America and use as much credible science as possible."[33] However, in February 2010, Winding Refn dropped out of the project in order to work on Drive.[34]

In 2010, Refn was attached to direct Paul Schrader's script The Dying of the Light with Harrison Ford as the lead.[35] However, in February 2010,
Winding Refn exited the project. In September 2011 during promotion for Drive, he claimed that Ford did not want his character to die, causing the film production to fall apart.[36]Channing Tatum, who was to co-star with Ford in The Dying of the Light, originally wanted Refn to direct Magic Mike (2012), which Steven Soderbergh came to direct.[37]

I've always liked characters that because of the circumstances, have to transform themselves, and in the end, it's inevitable that what they end up becoming is what they were meant to be. Take, for example, Pusher II, which is a movie about a son [played by Mads Mikkelsen] who all his life wants his father's love, but realizes he needs to kill him to free the sins of the father from him. What plants the seed for him is realizing he has his own child, and the responsibility of that suddenly forces him to take action. And it's a happy ending, even though it's a dark ending, but for the character, it is what he was meant to become. It's almost like he achieved his true meaning. And Drive is similar in the sense that The Driver was meant to become a superhero, and he's denied all these things—relationships, companionship. And why would he be denied that? It was because he was meant for something greater.[40]

Refn prefers to shoot his films in chronological order: "I read that [director John Cassavetes] had done it on some of his films, so I thought, 'That's a pretty cool approach.' And after I did it on my first movie, I felt, 'How can you do a movie any other way?' It's like a painting—you paint the movie as you go along, and I like the uncertainty of not knowing exactly how it's going to turn out."[7] Refn spoke more about shooting in chronological order in September 2011, in reference to Drive:

It's always difficult with production. All my films previous to Drive had been shot in what I call 100-percent almost-chronological order. Where Drive is like 80 percent. The reason why it didn't go 100 was that I just simply couldn't afford the last remaining pieces. I could afford what I call "the emotional chronological order". So nobody would die or leave the movie in the middle of their shooting schedule. It would always be the end. So there was a build-up as much as possible.[40]

On his approach to working with actors, Refn has said:

I think the first thing I ask any actor is what they would like to do, which sometimes can frighten people or can be looked upon as, 'Oh, you don't know what you want.' But I try to draw the actor in—to force them in, in some cases, because a lot of actors don't want to discuss things or go in deep; they just want to come and do the work, play their part and walk away. But for me, it doesn't work like that. You've got to get absorbed and dirty, and a way to do that is to ask the actor what they would like to do. It also forces them to be more truthful.[7]

Refn's color blindness has influenced his style: "I can't see mid-colors. That's why all my films are very contrasted, if it were anything else I couldn't see it."[8]

Refn has said numerous times that his largest cinematic influence has been the director Alejandro Jodorowsky (to whom Refn has dedicated “Only God Forgives”)[41], of whom he has said:

I had been seeing Jodorowsky the last couple years in Paris and we’d become quite close. Before we’d have dinner, we’d always have a tarot reading and talk about what it means. I feel that as a filmmaker, he’s the last of the great giants of an era that’s coming to a close. A year ago, he baptized me as his spiritual son and I wanted to reward that gesture.[42]

Refn's wife, Liv Corfixen, wrote and directed a documentary entitled My Life Directed by Nicolas Winding Refn, which chronicles the "behind the scenes" experience of shooting Only God Forgives when the entire family had to be relocated to Thailand. The documentary has received positive reviews after premiering at Fantastic Fest and Beyond Fest.[47] The soundtrack for the documentary is also composed entirely by Cliff Martinez, with the last track "Disconnected" composed, written and sung by Julian Winding, Refn's nephew.[48]